Table 6.

The result of the VAR model for Period 1 (Jan. 2014–Jan. 2016). ${\mathrm{y}}_t={\left[R_t,{MV}_t,{DT}_t\right]}^{\prime }=A_0+{\mathrm{\Sigma }}_{i=1}^p{B}_i{y}_{t-i}+{\epsilon }_t$ (1).

	$R_t$	${MV}_t$	${DT}_t$
$R_{t-1}$	0.0548	−0.5560	−4.2152***
	(1.2240)	(-0.7169)	(-4.4729)
$R_{t-2}$	−0.0446	−0.5553	−1.2796
	(-0.9614)	(-0.6916)	(-1.3116)
${MV}_{t-1}$	0.0053	−0.3198***	0.2481***
	(1.4921)	(-5.2396)	(3.3459)
${MV}_{t-2}$	−0.0004	−0.1746***	0.0893
	(-0.1269)	(-2.8612)	(1.2047)
${DT}_{t-1}$	−0.0020	−0.0414	−0.4924***
	(-0.6878)	(-0.8337)	(-8.1707)
${DT}_{t-2}$	−0.0006	−0.0550	−0.2482***
	(-0.2202)	(-1.1579)	(-4.2978)
Constant	−0.0086	−0.0846	0.6504
	(-0.2198)	(-0.1249)	(0.7894)
F statistic (p-value)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{Ri}=0$	1.1429	0.5288	11.2691***
	(0.3197)	(0.5897)	(0.0000)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{MVi}=0$	1.3652	14.2777***	5.5975***
	(0.2563)	(0.0000)	(0.0039)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{DTi}=0$	0.2372	0.7669	34.3537***
	(0.7889)	(0.4650)	(0.0000)

Note: Same Note shown in Table 2.